Macroeconomic and Financial Risks: A Tale of Volatility
Dario Caldara, Chiara Scotti, and Molin Zhong
We construct indicators of uncertainty and risk using a stochastic volatility VAR that generates comovements in mean and volatility and, therefore, time-variation and asymmetries in the distributions of future macroeconomic and financial variables. The model, estimated with Bayesian techniques and real-time data, points to a rich correlation structure among measures of uncertainty and risk in both macroeconomic and financial conditions. We post quarterly updates on this webpage.
Paper available here. Slides. Cite as:
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DATA Updated quarterly in the week following the advance estimate US GDP growth release.
Figure 3: Posterior Predictive Distributions – Simulated Data
Note: These figures are the interactive counterpart of Figure 2 in the CSZ paper. Click and drag to change the chart viewing angle.
Figure 4: Posterior Predictive Distributions – Actual Data
Note: These figures are the interactive counterpart to Figure 9 in the CSZ paper. Click and drag to change the chart viewing angle.